Martingale transport with homogeneous stock movements

Kurzanzeige
dc.contributor.authorEckstein, Stephan
dc.contributor.authorKupper, Michael
dc.date.accessioned2020-09-16T09:17:52Z
dc.date.available2020-09-16T09:17:52Z
dc.date.issued2021eng
dc.description.abstractWe study a variant of the martingale optimal transport problem in a multi-period setting to derive robust price bounds on a financial derivative. On top of marginal and martingale constraints, we introduce a time-homogeneity assumption, which restricts the variability of the forward-looking transitions of the martingale across time. We provide a dual formulation in terms of superhedging and discuss relaxations of the time-homogeneity assumption by adding market frictions. In financial terms, the introduced time-homogeneity corresponds to a time-consistency condition for call prices, given the state of the stock. The time homogeneity assumption leads to improved price bounds since market data from many time points can be incorporated effectively. The approach is illustrated with two numerical examples.eng
dc.description.versionpublishedde
dc.identifier.doi10.1080/14697688.2020.1787493eng
dc.identifier.ppn1968526250
dc.identifier.urihttps://kops.uni-konstanz.de/handle/123456789/50854
dc.language.isoengeng
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dc.subjectRobust pricing, Martingale optimal transport, Superhedging, Market information, Transaction costseng
dc.subject.ddc510eng
dc.subject.jelC61
dc.subject.jelG13
dc.titleMartingale transport with homogeneous stock movementseng
dc.typeJOURNAL_ARTICLEde
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kops.citation.bibtex
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  title={Martingale transport with homogeneous stock movements},
  year={2021},
  doi={10.1080/14697688.2020.1787493},
  number={2},
  volume={21},
  issn={1469-7688},
  journal={Quantitative Finance},
  pages={271--280},
  author={Eckstein, Stephan and Kupper, Michael}
}
kops.citation.iso690ECKSTEIN, Stephan, Michael KUPPER, 2021. Martingale transport with homogeneous stock movements. In: Quantitative Finance. Routledge, Taylor & Francis Group. 2021, 21(2), S. 271-280. ISSN 1469-7688. eISSN 1469-7696. Verfügbar unter: doi: 10.1080/14697688.2020.1787493deu
kops.citation.iso690ECKSTEIN, Stephan, Michael KUPPER, 2021. Martingale transport with homogeneous stock movements. In: Quantitative Finance. Routledge, Taylor & Francis Group. 2021, 21(2), pp. 271-280. ISSN 1469-7688. eISSN 1469-7696. Available under: doi: 10.1080/14697688.2020.1787493eng
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